Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-042711-230037

Document Typemasters report
Author NameGu, Chenchen
Email Address skygcc at gmail.com
TitleOption Pricing Using MATLAB
DepartmentMathematical Sciences
  • Marcel Blais, Advisor
  • Keywords
  • control variates
  • binomial model
  • GBM
  • Monte Carlo simulation
  • Date of Presentation/Defense2011-05-04
    Availability unrestricted


    This paper describes methods for pricing European and American options. Monte Carlo simulation and control variates methods are employed to price call options. The binomial model is employed to price American put options. Using daily stock data I am able to compare the model price and market price and speculate as to the cause of difference. Lastly, I build a portfolio in an Interactive Brokers paper trading [1] account using the prices I calculate. This project was done a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

  • Chenchen.pdf

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